On selection of statistics for approximate Bayesian computing (or the method of moments)

A cross validation method for selection of statistics for Approximate Bayesian Computing, and for related estimation methods such as the Method of Simulated Moments, is presented. The method uses simulated annealing to minimize the cross validation criterion over a combinatorial search space that ma...

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Detalles Bibliográficos
Autores: Creel, Michael|||0000-0002-0944-8405, Kristensen, Dennis
Tipo de recurso: artículo
Fecha de publicación:2016
País:España
Institución:Universitat Autònoma de Barcelona
Repositorio:Dipòsit Digital de Documents de la UAB
Idioma:inglés
OAI Identifier:oai:ddd.uab.cat:174328
Acceso en línea:https://ddd.uab.cat/record/174328
https://dx.doi.org/urn:doi:10.1016/j.csda.2015.05.005
Access Level:acceso abierto
Palabra clave:Approximate Bayesian computation
Likelihood-free methods
Selection of statistics
Method of simulated moments
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spelling On selection of statistics for approximate Bayesian computing (or the method of moments)Creel, Michael|||0000-0002-0944-8405Kristensen, DennisApproximate Bayesian computationLikelihood-free methodsSelection of statisticsMethod of simulated momentsA cross validation method for selection of statistics for Approximate Bayesian Computing, and for related estimation methods such as the Method of Simulated Moments, is presented. The method uses simulated annealing to minimize the cross validation criterion over a combinatorial search space that may contain an extremely large number of elements. A first simple example, for which optimal statistics are known from theory, shows that the method is able to select these optimal statistics out of a large set of candidate statistics. A second example of selection of statistics for a stochastic volatility model illustrates the method in a more complex case. Code to replicate the results, or to use the method for other applications, is provided at http://www.runmycode.org/companion/view/1116. 22016-01-0120162016-01-01Articlehttp://purl.org/coar/resource_type/c_6501AMhttp://purl.org/coar/version/c_ab4af688f83e57aainfo:eu-repo/semantics/articleapplication/pdfhttps://ddd.uab.cat/record/174328https://dx.doi.org/urn:doi:10.1016/j.csda.2015.05.005reponame:Dipòsit Digital de Documents de la UABinstname:Universitat Autònoma de BarcelonaInglésengEuropean Commission https://doi.org/10.13039/501100000780 312474open accesshttp://purl.org/coar/access_right/c_abf2Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades.https://creativecommons.org/licenses/by-nc-nd/3.0/info:eu-repo/semantics/openAccessoai:ddd.uab.cat:1743282026-06-06T12:50:31Z
dc.title.none.fl_str_mv On selection of statistics for approximate Bayesian computing (or the method of moments)
title On selection of statistics for approximate Bayesian computing (or the method of moments)
spellingShingle On selection of statistics for approximate Bayesian computing (or the method of moments)
Creel, Michael|||0000-0002-0944-8405
Approximate Bayesian computation
Likelihood-free methods
Selection of statistics
Method of simulated moments
title_short On selection of statistics for approximate Bayesian computing (or the method of moments)
title_full On selection of statistics for approximate Bayesian computing (or the method of moments)
title_fullStr On selection of statistics for approximate Bayesian computing (or the method of moments)
title_full_unstemmed On selection of statistics for approximate Bayesian computing (or the method of moments)
title_sort On selection of statistics for approximate Bayesian computing (or the method of moments)
dc.creator.none.fl_str_mv Creel, Michael|||0000-0002-0944-8405
Kristensen, Dennis
author Creel, Michael|||0000-0002-0944-8405
author_facet Creel, Michael|||0000-0002-0944-8405
Kristensen, Dennis
author_role author
author2 Kristensen, Dennis
author2_role author
dc.subject.none.fl_str_mv Approximate Bayesian computation
Likelihood-free methods
Selection of statistics
Method of simulated moments
topic Approximate Bayesian computation
Likelihood-free methods
Selection of statistics
Method of simulated moments
description A cross validation method for selection of statistics for Approximate Bayesian Computing, and for related estimation methods such as the Method of Simulated Moments, is presented. The method uses simulated annealing to minimize the cross validation criterion over a combinatorial search space that may contain an extremely large number of elements. A first simple example, for which optimal statistics are known from theory, shows that the method is able to select these optimal statistics out of a large set of candidate statistics. A second example of selection of statistics for a stochastic volatility model illustrates the method in a more complex case. Code to replicate the results, or to use the method for other applications, is provided at http://www.runmycode.org/companion/view/1116.
publishDate 2016
dc.date.none.fl_str_mv 2
2016-01-01
2016
2016-01-01
dc.type.none.fl_str_mv Article
http://purl.org/coar/resource_type/c_6501
AM
http://purl.org/coar/version/c_ab4af688f83e57aa
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://ddd.uab.cat/record/174328
https://dx.doi.org/urn:doi:10.1016/j.csda.2015.05.005
url https://ddd.uab.cat/record/174328
https://dx.doi.org/urn:doi:10.1016/j.csda.2015.05.005
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.relation.none.fl_str_mv European Commission https://doi.org/10.13039/501100000780 312474
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
https://creativecommons.org/licenses/by-nc-nd/3.0/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
https://creativecommons.org/licenses/by-nc-nd/3.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Dipòsit Digital de Documents de la UAB
instname:Universitat Autònoma de Barcelona
instname_str Universitat Autònoma de Barcelona
reponame_str Dipòsit Digital de Documents de la UAB
collection Dipòsit Digital de Documents de la UAB
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